321 citations · 2.6k across the 105 of their papers we have counts for
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Optimizing Expected Shortfall under an constraint -- an analytic approach
Gábor Papp, Imre Kondor, Fabio Caccioli
Expected Shortfall (ES), the average loss above a high quantile, is the current financial regulatory market risk measure. Its estimation and optimization are highly unstable agains…
Analytic approach to variance optimization under an constraint
Imre Kondor, Gábor Papp, Fabio Caccioli
The optimization of the variance supplemented by a budget constraint and an asymmetric regularizer is carried out analytically by the replica method borrowed from the theo…
Analytic solution to variance optimization with no short-selling
Imre Kondor, Gábor Papp, Fabio Caccioli
A large portfolio of independent returns is optimized under the variance risk measure with a ban on short positions. The no-short selling constraint acts as an asymmetric …
Bias-variance trade-off in portfolio optimization under Expected Shortfall with regularization
Gábor Papp, Fabio Caccioli, Imre Kondor
The optimization of a large random portfolio under the Expected Shortfall risk measure with an regularizer is carried out by analytical calculation. The regularizer reins…